Some strong limit theorems for M-estimators

Some laws of the iterated logarithm for empirical processes rescaled in the "time" parameter are presented. These laws of the iterated logarithm are applied to obtain strong limit theorems for M-estimators. In particular, a law of the iterated logarithm for M-estimators with unusual rates of convergence (in particular with cubic root asymptotics) is considered. We also obtain some Bahadur-Kiefer representations for M-estimators with unusual order.

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Year of publication:	1994
Authors:	Arcones, Miguel A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 53.1994, 2, p. 241-268
Publisher:	Elsevier
Keywords:	M-estimator Empirical process Law of the iterated logarithm Bahadur-Kiefer representation Lp-median Reproducing kernel Hilbert space

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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